On the Calibration of the Libor Market Model
This thesis presents a study of LIBOR market model calibration. In particular, the study builds on the prevailing calibration methodologies in an attempt to find a method that simultaneously recovers implied volatility and forward rate correlations structures from market prices of plain vanilla opti...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/etd_coll/33 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1032&context=etd_coll |
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| Institution: | Singapore Management University |
| Language: | English |